Hold the device on which the music is playing to the speaker (or let it play from the computer itself), and Cortana will tell you what’s playing.

I found that feature worked well for finding popular songs (Linkin Park, Slipknot, Nine Inch Nails, in my testing), but it didn’t find some more obscure stuff (Insane Clown Posse, Atreyu for example). It did ID the band In This Moment quickly, and they’re not as well known as some of the others. Your mileage may vary, but the feature does work quite well overall.